<t>I'm trying to value a company's equity as a call option as the principal amount of outstanding debt exceeds the total enterprise value of the company.As this is a private company, I have found publicly traded comparables and calculated their historical equity volatilities (they don't have publicl...

I'm sure this exists somewhere--I'm looking for something that addresses the probability of bankruptcy and/or default based on credit ratings on debt. For example, what is the likelihood of bankruptcy for a company with BB-rated debt? Thanks for your help!

I'm analyzing a CLO on emerging market debt and am looking for an estimate for default rate. Is there a general market rate assumption and/or source that you could direct me to? Thanks.

<t>I'm trying to understand methods used to value bespokes. Would someone describe in layman's terms the general concept? Also, if there are papers (technical is fine) or other materials on this, I'd appreciate it if someone would post them or provide me references so I can track them down. Thanks. ...

Would someone point me to a (free) data source where I can get all historical ABX prices by vintage and rating? I spoke to Markit who wanted some ridiculous price. Thanks.

<t>I think these questions are fairly basic, but haven't been able to find an answer. I'm trying to value a tranche of a RMBS and am using Intex. Assume the RMBS is a 2006-2 subprime securitization and that the tranche is AA. I've determine the relevant curves. Now I'm trying to figure out the "disc...

<t>I'm valuing a type of barrier option. The (call) option knocks-in if the stock price maintains a target price (say 125% of the initial stock price) for 20 consecutive trading days. The strike price equals the starting stock price. In addition to determining the value of this option, I also have t...

<t>Aaron and outrun,Thanks for your suggestions. I'm not well versed with anything but basic Monte Carlo techniques and this is my first attempt to try to introduce variance reduction methods. To use control variates, what is my control? Would it be a knock-in barrier? For importance sampling, I gue...

<t>I'm not sure I fully understand this. I think you are suggesting that I develop two separate stock price paths (both base and antithetic) whereby the base path moves based on the 364 random numbers and the antithetic path moves based on the negative of the randon numbers, right?I understand about...

<t>I've never used antithetics when writing monte carlo simulations and have a question, which I'll try to illustrate with a simple example.Assume I'm valuing a stock option that vests only if the stock price for 10 consecutive days is $110 (or more). Also assume that the underlying and strike price...

<t>I'm trying to build a Monte Carlo for a convertible and was hoping to get some tips on basic questions. Assume the conversion price is $10 and convertible anytime by the holder, par value and liq pref is $1000 (so initially converts into 100 shares), maturity in 5 years, underlying is $8/share. A...

<t>I'm not a great programmer and was hoping someone could help me with a basic VBA question (for Excel).I've written a simulation; assume that each simulation run consists of 1000 trials. In my simulation, I care about 3 values, which are stored in an array "Value". The dimensions for Value are: Va...

<t>Thanks. I had considered an approach similar to the one you outlined, but the company has very limited history as a public company (less than 6 months) and it's P/E multiple has varied significantly during that period. So I thought it might be more accurate to run a simulation based on earnings. ...

<t>I'm having trouble figuring out how to value the following option:The option is a standard American call, however, it only vests upon the underlying company achieving a certain predetermined level of earnings. For example, if the company achieves $100 of earnings at the end of the first year, 20%...

Thanks! Sorry, I should have searched the forums first...didn't know this was such a common question.